外部融資溢酬、台灣房屋市場與景氣波動

EXTERNAL FINANCE PREMIUM, TAIWAN’S HOUSING MARKET, AND BUSINESS FLUCTUATIONS

根據Aoki et al.（2004）與Bernanke et al.（1999）的動態隨機一般均衡模型，將借貸限制運用在房屋市場，藉由房屋投資的借貸契約所產生的金融加速效應，試圖捕捉台灣房屋市場循環與總體經濟之間的相關性。模擬結果顯示，本模型呼應實際資料的幾項觀察：房屋投資相對於資本設備投資的波動來得高、房屋投資與產出的相關性比資本設備投資與產出的相關性來得低、房屋價格的波動比產出的波動大、以及房屋外部融資溢酬與景氣循環呈反向的關係。最後，透過金融加速效應，房屋外部融資溢酬對於房價與房屋投資的波動扮演重要的傳導機制。

Using a dynamic stochastic general equilibrium model modified from Aoki et al. (2004) and Bernanke et al. (1999), we apply credit frictions to the housing market and attempt to capture the characteristics of Taiwan’s housing market and business fluctuations. Calibrating the model to Taiwan’s data, the model generates several important properties that echo empirical observations: housing investment is more volatile than capital investment, the correlation of housing investment with GDP is lower than that of capital investment with GDP, the house price is more volatile than GDP, and the external finance premium on housing exhibits counter-cyclical movement. Finally, by way of the financial accelerator, external finance premium on housing acts as an important transmission mechanism in the fluctuations of house price and housing investment.